Data for: Connectedness and spillover effect between cryptocurrency and financial assets
Mao, Mu-Yun (2023), Data for: Connectedness and spillover effect between cryptocurrency and financial assets, Dryad, Dataset, https://doi.org/10.5061/dryad.r7sqv9shb
Cryptocurrencies have quickly become one type of important financial asset. Accordingly, it is important to understand the interaction between cryptocurrency and other financial asset markets. However, previous literature paid less attention to the correlation between the price trend of cryptocurrencies and other financial assets. Using the vector autoregression model, we analyzed price correlation and spillover effect between cryptocurrencies and financial assets between November 2017 and February 2022. The study concludes that stock price has a spillover effect on cryptocurrencies, government bonds, and precious metals. The research results are useful while allocating portfolios or hedge strategies that include cryptocurrencies and financial assets such as stocks, government bonds, and precious metals.
The study downloads cryptocurrencies and other financial assets data through the price information website investing.com. We wrote a letter to the source website to inquire whether it is possible to use the data for analysis and writing a paper, and received a positive response.
We collect price data of the daily transaction. The data period is from November 2017 to February 2022. Cryptocurrencies are traded 24 hours a day. However, stock, bonds, and other financial assets are traded only on business days. We exclude the transaction data of the stock market close day. As a result, we obtain 1087 price data of cryptocurrency and other assets. The return rate is calculated by taking the price to one order difference. Volatility is calculated in the same way as studied by Diebold and Yilmaz (2012), estimated by subtracting the maximum and minimum prices of the day.